Trend-Following Backtester · Guide · backtest 한국어
equity · GB
IG Group Holdings plc backtest
10 trend-following strategies were compared on the full daily history of IG Group Holdings plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.6%, MDD -40.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -61.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -40.9%, Sharpe 0.55, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 20.3%p (CAGR 10.6%, MDD -40.9%, exposure 66%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=169 |
10.6% | -40.9% | 0.55 | 0.26 | 8.6x | 27 | 66% |
| Donchian 채널 돌파 entryN=90, exitN=79 |
7.6% | -32.1% | 0.45 | 0.24 | 4.7x | 27 | 59% |
| EMA 크로스오버 fast=47, slow=117 |
7.4% | -52.4% | 0.42 | 0.14 | 4.6x | 37 | 67% |
| Supertrend period=11, mult=4.5 |
6.3% | -54.6% | 0.40 | 0.12 | 3.7x | 72 | 62% |
| ROC 모멘텀 n=116, threshold=-0.04 |
6.0% | -52.8% | 0.36 | 0.11 | 3.5x | 179 | 74% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=14, mult=2 |
2.4% | -59.7% | 0.22 | 0.04 | 1.7x | 104 | 48% |
| MACD fast=18, slow=32, signal=19 |
2.2% | -55.7% | 0.21 | 0.04 | 1.6x | 244 | 51% |
| 볼린저 밴드 돌파 n=54, k=2.2 |
0.2% | -64.5% | 0.09 | 0.00 | 1.0x | 86 | 34% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.7% | -76.5% | 0.07 | -0.01 | 0.9x | 182 | 55% |
| ADX / DI 방향성 period=23, threshold=36 |
-0.0% | -13.2% | 0.01 | -0.00 | 1.0x | 6 | 1% |
| Buy and hold | 12.5% | -61.1% | 0.52 | 0.20 | 12.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 45-day average falls below the 169-day average